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This study examines several aspects of active portfolio management by equity hedge funds between 1996 and 2013. Consistent with the idea that cross-sectional return dispersion is a proxy for the market’s available alpha, our results show that equity hedge funds achieve their strongest performance during periods of elevated dispersion. The performance advantage is robust to numerous risk adjustments. Portfolio managers may use the current month’s dispersion to plan the extent to which the following month’s investment approach will be active or passive. We also estimate the active share for equity hedge funds and find an average of 53%. We further document the average annual expense ratio for managing hedge funds’ active share to be about 7%. This figure is remarkably close to active expense ratios reported previously for equity mutual funds, which may be interpreted as evidence of uniform pricing for active portfolio management services.

This paper investigates the role of economic disagreement in the cross-sectional pricing of individual stocks. Economic disagreement is quantified with ex ante measures of cross-sectional dispersion in economic forecasts from the Survey of Professional Forecasters (SPF), determining the degree of disagreement among professional forecasters over changes in economic fundamentals.

The authors introduce a broad index of economic disagreement based on the innovations in the cross-sectional dispersion of economic forecasts for output, inflation and unemployment so that the index is a shock measure that captures different aspects of disagreement over economic fundamentals and also reflects unexpected news or surprise about the state of the aggregate economy. After building the broad index of economic disagreement, the authors test out-of-sample performance of the index in predicting the cross-sectional variation in future stock returns.

Univariate portfolio analyses indicate that decile portfolios that are long in stocks with the lowest disagreement beta and short in stocks with the highest disagreement beta yield a risk-adjusted annual return of 7.2%. The results remain robust after controlling for well-known pricing effects. The results are consistent with a preference-based explanation that ambiguity-averse investors demand extra compensation to hold stocks with high disagreement risk and the investors are willing to pay high prices for stocks with large hedging benefits. The results also support the mispricing hypothesis that the high disagreement beta provides an indirect way to measure dispersed opinion and overpricing.

Most literature measures disagreement about individual stocks with the standard deviation of earnings forecasts made by financial analysts and examines the cross-sectional relation between this measure and individual stock returns. Unlike prior studies, the authors focus on disagreement about the economy instead of disagreement about earnings growth. The authors' argument is that disagreement about the economy is a major factor that would explain disagreement about stock fundamentals. The authors find that disagreement in economic forecasts does indeed have a significant impact on the cross-sectional pricing of individual stocks.

The purpose of this paper is to investigate the return performance of different investment strategies in the hedge fund sector, with a particular emphasis on the recent US financial crisis of 2007‐2010. Additionally, the paper aims to investigate the comovement of hedge fund index returns.

The paper identifies broad hedge fund investment strategies using data from the Dow Jones Credit Suisse Hedge Fund Database. It examines the return comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the paper examines whether correlations and covariance are important determinants of future volatility via traditional time‐series regressions.

The paper finds that the majority of the broad hedge fund investment strategies incurred record level losses and gains during the 2007‐2010 period. In addition, it finds that the crisis period was preceded by high correlations, attributed primarily to a rise in cross‐sectional hedge fund covariances. However, during the crisis period, a decrease in average correlations, stemming from an increase in hedge fund volatility, is documented. The time‐series regressions are supportive of a strong relationship between cross‐sectional covariances and subsequent volatility, suggesting that systemic risk occurs in the hedge fund sector when returns move significantly in dollar terms.

This study is one of the first investigations that focus on the comovement and volatility of hedge fund index returns during the US financial crisis of 2007‐2010.

The purpose of this research is to consider whether market wide herding occurs intraday.

Using the 1995 Christie and Huang and the 2000 Chang et al. models, the paper tests whether market wide and industry sector herding occurs intraday in the Australian equities market.

Neither market wide nor industry sector herding occurs intraday.

Both herding measures focus on one specific type of herding, herding evidenced by changes in the cross‐sectional return distribution. Therefore the herding measures are ill suited to capture the effects of period specific abnormally high or low market returns and they can also capture herding of market participants or groups of market participants only in as far as it manifests itself in security specific returns.

No previous studies have considered the possibility of intraday herding in equities markets. Even if there is little evidence of herding over longer time periods, market frictions and inefficiencies continue to be exploited at least anecdotally by traders with very short time horizons to the detriment of longer term investors.

The purpose of this study is to empirically examine the presence of herding behavior of Indian investors using daily sample data drawn from the Standard and Poor's (S&P) Bombay Stock Exchange-500 Index over the period 2007–2018.

The study employs the model proposed by Chang et al. (2000), taking stock return dispersion as a measure to capture herding. The empirical results demonstrate the absence of herding behavior in all market states, that is, normal, up and down market conditions for the overall period.

Contrastingly, the study found negative herding behavior, which underlines that individuals are taking the decision away from the market consensus. The subperiod analysis corroborates the negative herding behavior. The results remain invariant across large, mid and small-capitalization firms except in one year, that is, 2009 for small firms. While using liquidity and sentiment as variables to examine herding, the study finds some evidence of herding behavior for high market liquidity state and sentiment. The findings of negative herding shed new light on herding behavior in the Indian stock market.

This pattern of behavior may indicate irrationality of investor behavior and the presence of noise traders who mistrust market-wide information. Behavioral factors such as overconfidence may explain this pattern of behavior.

This paper aims to investigate the link between uncertainty in banking and bank lending behavior, particularly shedding light on the modifying role of bank competition in the nexus.

The study uses a panel of Vietnamese banks over the 2007–2019 period for empirical analysis and the dispersion of shocks to bank-level variables to measure banking uncertainty. To strongly confirm our findings, the authors perform a battery of alternative checks based on different econometric techniques, including fixed effect regressions with Driscoll–Kraay standard errors, the two-step system generalized method of moments estimator and the least squares dummy variable-corrected estimator.

Uncertainty induces multifaceted unfavorable impacts on bank lending. Concretely, banks tend to restraint loan growth, suffer more credit risk, and charge higher lending rates during periods of higher uncertainty. Further investigation reveals that lending activities of banks with greater market power are less sensitive to adverse uncertainty shocks; in other words, increased competition in the banking system is associated with more substantial consequences of uncertainty on bank lending.

To the best of the authors’ knowledge, this study is the first attempt to simultaneously explore the impacts of uncertainty on quantity, quality and prices of bank lending. This paper also aim at putting forth the level of uncertainty particularly related to the banking sector. Importantly, examining the conditionality of the linkage between uncertainty and bank lending with respect to bank competition is entirely novel.

The purpose of this paper is to test the extent of convergence in rents and yields in the European real estate office market.

The paper uses the concepts of beta‐convergence and sigma‐convergence to evaluate empirically the hypothesis of rent and yield convergence in seven European office markets during the period 1982‐2009. Because of the introduction of a single currency in January 1999, the analysis is carried out sequentially, first for the overall sample period and then the periods before and after the introduction of the single currency.

The results indicate that, irrespective of the time period considered, there is not enough statistical evidence of beta‐convergence in either rents or yields but evidence of significant sigma‐convergence in rents and yields in the European office markets under review. Additionally, some evidence is found that the introduction of the single currency in 1999 has led to increasing signs of convergence, especially in the Continental European markets.

The results show that the real estate office markets in Europe are not fully integrated and so indicate that diversification across Europe is still a viable investment strategy.

This is the first paper to use beta and sigma convergence tests on European office market data.

The purpose of this paper is to investigate the food price inflation convergence across countries and regions. This study aims to identify the key drivers for food price inflation across countries and regions.

We test whether the international food price inflations are converging over time using the log t convergence test and clustering analysis. These inflation data are collected from the Food and Agriculture Organization of the United Nations.

The test results suggest that there is little evidence of overall convergence. Then we utilize a clustering algorithm and the results support that there is strong evidence of multiple convergence clubs. In addition, we examine the transition path of the various convergence and find that social stability regulation together with economic conditions are important determinants of convergence club membership.

First off, local conflict and economic environment result in food supply and prices, but this study is limited to the dynamics of prices.

Food prices inflations are not converging to single common price inflation, but there exist subgroups of countries or regions within which food price inflation tends to converge. These groupings tend to be related to the economic development and social stability of countries and regions.

The authors believe that any analysis of food price inflations that does not consider the political environment and economic conditions dynamics will likely be omitting important components of food price dynamics.

This study uses a unique data set covering 198 countries and regions and provides a comprehensive analysis of international food price inflation convergence identifying the key drivers of convergence club membership.

The study examines the impact of uncertainty on bank opacity while particularly taking into account the moderating role of market structures.

Using a sample of Vietnamese banks from 2007 to 2019, the paper measures uncertainty at the disaggregate level of the banking sector through the dispersion of bank shocks and capture bank opacity from the perspective of bank earnings management based on discretionary loan loss provisions. The authors apply both structural and non-structural proxies of bank competition/concentration to better explore the role of market structures. Empirical regressions are conducted using the fixed effect regressions with Driscoll–Kraay standard errors and the two-step system generalized method of moments (GMM) technique, and then verified by the least squares dummy variable corrected (LSDVC) estimator.

Bank earnings opacity is less severe in periods of higher uncertainty. Further analysis documents that the negative impact of uncertainty on bank earnings opacity is stronger when the level of bank competition increases or when bank market power decreases.

The finding highlighting the conditioning role of market structures is entirely novel in the uncertainty-bank opacity literature. Moreover, in providing additional evidence on the significant impact of uncertainty on bank opacity, while prior related studies explore economic policy uncertainty, the authors utilize micro uncertainty in banking that exhibits enormous superiority.

Proposes an empirical analysis of regional convergence in Canada based on the growth model of Barro et al. In an open economy with perfect capital mobility, if domestic residents cannot borrow abroad with human capital as collateral, the dynamics of human capital accumulation is the driving force of per capita income growth. Empirical results indicate that, as predicted by the theoretical model, various indicators of the stock of human capital did converge at the same speed as per capita income during the 1951‐1996 period. A substantial part of the relative growth of per capita income indicators across Canadian provinces since the early 1950s could be explained by the convergence process of human capital indicators based on the percentage of the population, both sexes and males, who have at least a university degree. The estimates of the human capital share in national income based on those indicators are in the neighbourhood of 0.5, a number consistent with other measures of the implicit income share of human capital. The convergence speed of per capita income at the regional level might have been two to three times faster, if all persons had invested in education at the same rate as the young.